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When the panic broke out : COVID-19 and investment funds' portfolio rebalancing around the world
Affinito, Massimiliano; Santioni, Raffaele - 2021
Persistent link: https://www.econbiz.de/10012610394
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Purchases of Sovereign Debt Securities by Italian Banks During the Crisis : The Role of Balance-Sheet Conditions
Affinito, Massimiliano - 2016
This paper analyses the main microeconomic determinants of Italian banks' purchases of sovereign debt securities from 2007 to 2013, with special reference to their balance-sheet conditions. The analysis distinguishes two phases of the crisis – the period following the Lehman Brothers collapse...
Persistent link: https://www.econbiz.de/10012982320
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When the Panic Broke Out : Covid-19 and Investment Funds' Portfolio Rebalancing Around the World
Affinito, Massimiliano; Santioni, Raffaele - 2021
over 20,000 IFs from more than 40 national jurisdictions and investing in more than 100 economies and 20 industries. Our … vulnerable at the moment, that is, those issued by more COVID-affected countries and industries. Our results also show several …
Persistent link: https://www.econbiz.de/10013217674
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The benefits and costs of adjusting bank capitalisation : evidence from euro area countries
Budnik, Katarzyna; Affinito, Massimiliano; Barbic, Gaia; … - 2019
The paper proposes a framework for assessing the impact of system-wide and bank-level capital buffers. The assessment rests on a factor-augmented vector autoregression (FAVAR) model that relates individual bank adjustments to macroeconomic dynamics. We estimate FAVAR models individually for...
Persistent link: https://www.econbiz.de/10011996739
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The benefits and costs of adjusting bank capitalisation : evidence from euro area countries
Budnik, Katarzyna; Barbic, Gaia; Nicoletti, Giulio; … - 2019
Persistent link: https://www.econbiz.de/10012113641
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Does the law of one price hold in euro-area retail banking? : an empirical analysis of interest rate differentials across the monetary union
Affinito, Massimiliano; Farabullini, Fabio - In: International journal of central banking : IJCB 5 (2009) 1, pp. 5-37
Persistent link: https://www.econbiz.de/10009521415
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An empirical analysis of national differences in the retail bank interest rates of the euro area
Affinito, Massimiliano (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003412549
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What are borders made of? : an analysis of barriers to European banking integration
Affinito, Massimiliano; Piazza, Matteo - In: The changing geography of banking and finance, (pp. 185-211). 2009
Persistent link: https://www.econbiz.de/10003846035
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The Benefits and Costs of Adjusting Bank Capitalisation : Evidence From Euro Area Countries
Budnik, Katarzyna Barbara - 2019
The paper proposes a framework for assessing the impact of system-wide and bank-level capital buffers. The assessment rests on a factor-augmented vector autoregression (FAVAR) model that relates individual bank adjustments to macroeconomic dynamics. We estimate FAVAR models individually for...
Persistent link: https://www.econbiz.de/10012872287
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The Benefits and Costs of Adjusting Bank Capitalisation : Evidence from Euro Area Countries
Budnik, Katarzyna Barbara - 2019
The paper proposes a framework for assessing the impact of system-wide and bank-level capital buffers. The assessment rests on a factor-augmented vector autoregression (FAVAR) model that relates individual bank adjustments to macroeconomic dynamics. We estimate FAVAR models individually for...
Persistent link: https://www.econbiz.de/10012866683